400-700-9596

首页>备考规划>备考FRM二级>【FRM每日一题】二级:操作风险测量与管理(四)

【FRM每日一题】二级:操作风险测量与管理(四)

发表时间:2015/10/22 9:49:36 编辑:小T 告诉小伙伴:
0

[编考按]A firm’s financial planning department reports that a project’s proposed risk-adjusted return on capital (RAROC) is 13 percent, the risk-free rate is 3 percent, the market return is 11 percent and the firm’s equity beta is 1.3...

     A firm’s financial planning department reports that a project’s proposed risk-adjusted return on capital (RAROC) is 13 percent, the risk-free rate is 3 percent, the market return is 11 percent and the firm’s equity beta is 1.3. Use adjusted risk-adjusted return on capital (ARAROC) to determine whether or not the project should be accepted. This firm should:

    A.Accept the project because its expected ARAROC is higher than the market’s excess return.

    B.Reject the project because its expected ARAROC is lower than the market’s excess return.

    C.Accept the project because its expected ARAROC is lower than the market’s excess return.

    D.Reject the project because its expected ARAROC is higher than the market’s excess return.

    Answer: B

    ARAROC = (0.13 - 0.03) / 1.3 = 0.0769 = 7.69%

    The project should be rejected because the ARAROC of 7.69 percent is less than the excess return on the market: 11%-3% = 8%.

FRM资料:Handbook+Notes

FRM备考资料
FRM备考资料
最新直播 课程主题: 2017年11月FRM一级Simulation开课时间: 07 月 20 日  |   07-30-00- 09-00-00

推荐资讯

全国分校
TOP

登录金程教育

注册金程帐号合作帐号直接登录

注册金程教育

  •   验证码

  • 同意金程的《用户协议》

已有账号马上登录合作帐号直接登录